Fitch Ratings last week said it expected to downgrade roughly 27% of the tranches of synthetic CDOs referencing U.S. subprime securities by an average 2.4 notches, given a recent stress test applied to the deals it's rated. The rating agency assumed a three-notch downgrade on each of the investment grade subprime RMBS within the CDO portfolios.

However, Fitch pointed out that a number of factors - including deal structure, market conditions and the individual asset manager - make such projections difficult. "The full impact of the subprime RMBS exposure on synthetic SF CDOs will

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